日内策略例子分钟级别IntraDay Trading Sample Minute Level

#!/usr/bin/env python
# coding:utf-8
from PoboAPI import *
import datetime
import numpy as np
## E00muCounter2
#用poboquant python实现，在poboquant上运行，如果有问题 可加群 726895887 咨询
#双向交易 （15）分钟级策略 演示用ontradedeal进行仓位控制

#开始时间，用于初始化一些参数
def OnStart(context) :
    print "I\'m starting..."
    
    #登录交易账号，需在主页用户管理中设置账号，并把期货测试替换成您的账户名称
    g.code = GetMainContract('DCE', 'j',20)

    #SubscribeBar(g.code, BarType.Day)
    #SubscribeBar(g.code, BarType.Min5)
    g.accountname="回测期货"#"sim1130532"#"吕东simnow"#"回测期货"#"回测证券"#改成自己的账户即可
    SubscribeQuote(g.code)
    g.tradevolume=10 #可交易头寸
    #SubscribeBar(g.code,BarType.Min)
    #g.priceseries=collections.deque(maxlen=20) #初始化deque
    if context.accounts.has_key(g.accountname) :
        print "登录交易账号 ：" + str(g.accountname)
        context.accounts[g.accountname].Login()
        context.myacc = context.accounts[g.accountname]
        print "账户登录成功"

def OnMarketQuotationInitialEx(context, exchange,daynight):
    print "on market ini"
    #print str(exchange)
    if exchange!= 'DCE':
        return
   # 获取主力合约
    
    g.code = GetMainContract('DCE','j',20)

    SubscribeBar(g.code, BarType.Min15)
    print "订阅 code in market ini "+str(g.code)
    g.daysignal=0 #日线信号
    g.balancesingal=1#资金量信号
    g.longlock=0 #0可买开仓，1不可买开仓
    g.shortlock=0#0可卖开，1不可卖开
    #g.change_flag = 0 #换月信号
    #订阅K线数据，用于驱动OnBar事件
    #SubscribeBar(g.code,BarType.Day)
    #SubscribeBar(g.code,BarType.Min5)
#     if exchange == 'DCE' and daynight == 'night'and context.myacc:
#         print '大商所夜盘行情开盘时重登交易账号'
#         context.myacc.Logout()
#         context.myacc.Login()
#     if exchange == 'DCE' and daynight == 'day'and context.myacc:
#         print '大商所日盘行情开盘时重登交易账号'
#         context.myacc.Logout()
#         context.myacc.Login()
    option = PBObj()
    g.pos = context.accounts[g.accountname].GetPositions(option)
    g.longholdingpos=0
    g.shortholdingpos=0
    if len(g.pos)>0:
        print "开始盘前持仓检查"
        for i in g.pos:
            if i.contract==g.code and i.availvolume>0  and i.bstype.BuySellFlag=="0":
                g.longholdingpos=i.availvolume
                print "盘前有多头持仓 "+str(g.longholdingpos)
                if g.longholdingpos>=g.tradevolume:
                    g.longlock=1
            if i.contract==g.code and i.availvolume>0  and i.bstype.BuySellFlag=="1":
                g.shortholdingpos=i.availvolume
                print "盘前有空头持仓 "+str(g.shortholdingpos)
                if g.shortholdingpos>=g.tradevolume:
                    g.shortlock=1
def OnTradeAccountDisconnected(context, accountname):
    print '断线啦'
    context.myacc.Logout()
    g.timer = SetTimer(60)
    print '开启定时器'

def OnTimer(context, timerid) :
    if timerid ==g.timer:
        print '定时器开始-准备自动重连'
        if context.myacc.Login():
            print '重连成功啦'
            KillTimer(g.timer)
            print '结束定时器'   
        
# def OnQuote(context,code) :
#     print '调用到OnQuote事件'

def GetCurrentDayTime(CurrentDay,addhours,addminutes,addseconds): #取日期时间函数，比如设定当天的10：00：02 可以写成 GetCurrentDayTime(CurrentDay,10,0,2)
    #print "reached function"
    yearstring=int(CurrentDay.year)
    #print "yearstring=int(tradingtime.year)",int(CurrentDay.year)
    monthstring=int(CurrentDay.month)
    daystring=int(CurrentDay.day)
    CurrentDayTime= datetime.datetime(yearstring,monthstring,daystring,addhours,addminutes,addseconds)#time of market opening
    return CurrentDayTime 
    
#实时行情事件，当有新行情出现时调用该事件Ex
def OnBar(context,code,bartype):
    #过滤掉不需要的行情通知
    #5分钟收盘高于5日均线买入1手，或者10手，如果5分钟收盘，低于10均线卖出平仓
    print "on bar"
#     Currenttradingtime=GetCurrentTime()#取当前时间

#     CurrentDay=GetCurrentTime()  
    
    
    #检查持仓，看是否需要换月
    option = PBObj()
    #option.buysellflag = '0'
    print "开始OnBar持仓检查"
    pos = context.accounts[g.accountname].GetPositions(option)
    #print pos
    #换月
    if len(pos)>0:
        
        for i in pos:
            if i.contract<>g.code and GetVarietyByCode(g.code)==GetVarietyByCode(i.contract): #出现需要换月持仓,判断是同品种
                print "有持仓需要换月 "+str(i.contract) +" vs current "+str(g.code)
                print "---------------------------------------------需要换月---------------"
                if i.bstype.BuySellFlag=="0":#买持仓
                    print "换月：平多头-----------------------"
                    closepricedata=GetQuote(i.contract)
                    closeprice=closepricedata.now
                    QuickInsertOrder(context.myacc,i.contract,'sell','close',PriceType(PbPriceType.Limit,16,0),i.availvolume)
                    context.myacc.InsertOrder(i.contract, BSType.SellClose, closeprice-40, i.availvolume)#卖平
                    context.myacc.InsertOrder(i.contract, BSType.SellCloseToday, closeprice-40, i.availvolume)#卖平
                    
                    
                if i.bstype.BuySellFlag=="1":#卖持仓
                    print "换月：平空头-----------------------"
                    QuickInsertOrder(context.myacc,i.contract,'buy','close',PriceType(PbPriceType.Limit,16,0),i.availvolume)
                    closepricedata=GetQuote(i.contract)
                    closeprice=closepricedata.now
                    context.myacc.InsertOrder(i.contract, BSType.BuyClose, closeprice+40, i.availvolume)#买平
                    context.myacc.InsertOrder(i.contract, BSType.BuyCloseToday, closeprice+40, i.availvolume)#买平
                    
            else:#已经持有主力合约仓位
                if i.bstype.BuySellFlag=="0":#持有为主力合约的多头
                    g.longlock=1#不可开多头
                    g.holdingpos=i.availvolume
                    
                    
            
    else:
        
        print "无持仓需要换月"
        
    bal = context.accounts[g.accountname].AccountBalance
#     cashbal=bal.AvailableCashBalance
#     asset=bal.AssetsBalance
    riskdegree=bal.RiskDegree 
    if riskdegree >0.99:
        
        print "cash / asset " +str(riskdegree)
        g.balancesingal=0 #仓位控制
        print "too many positions,can't trade"
    else:
        g.balancesingal=1
    print "资金量信号为 "+str(g.balancesingal)
    option = PBObj()
    g.pos = context.accounts[g.accountname].GetPositions(option)
    g.longholdingpos=0
    g.shortholdingpos=0
    if len(g.pos)>0:
        print "开始盘中持仓检查"
        for i in g.pos:
            if i.contract==g.code and i.availvolume>0  and i.bstype.BuySellFlag=="0":
                g.longholdingpos=i.availvolume
                if g.longholdingpos>=g.tradevolume:
                    g.longlock=1
            if i.contract==g.code and i.availvolume>0  and i.bstype.BuySellFlag=="1":
                g.shortholdingpos=i.availvolume
                if g.shortholdingpos>=g.tradevolume:
                    g.shortlock=1
                
    else:
        print "盘中持仓为0"
    print "code " +str(g.code)  
#     if code != g.code:
#         return
    dyndata = GetQuote(g.code)
    price5min=dyndata.now
    print "price5min "+str(price5min)
    option5 = PBObj()
    option5.Count = 5#5日均线
    option5.EndDate=GetCurrentTime()
    #日线判断
    klinedata5 = GetHisData(g.code, BarType.Day, option5)
    print "len(klinedata) 5 days "+str(len(klinedata5))
#     if klinedata[len(klinedata)-1].close < klinedata[len(klinedata)-2].close :
#         g.daysignal=1 #日线符合开仓条件
#     elif klinedata[len(klinedata)-1].close > klinedata[len(klinedata)-2].close:
#         g.daysignal=-1 #日线符合平仓条件
    i=0
    klist=[]
    closesum=0
    
    #print "5日 len(klinedata)"+str(len(klinedata))
    
    while i <len(klinedata5):#计算五日均线
        closesum=closesum+klinedata5[i].close
        #print "Day "+str(i)+str(klinedata5[i].close)+" date"+str(klinedata5[i].tradedate)
        i+=1
        
    ma5Minclose=closesum/5
    print "5日均线为："+str(ma5Minclose)
    

    
    option10 = PBObj()
    option10.Count = 10#10日均线
    option10.EndDate=GetCurrentTime()
    klinedata10 = GetHisData(g.code, BarType.Day, option10)
    print "len(klinedata) 10 days "+str(len(klinedata10))
    
    i=0
    klist=[]
    closesum=0
    
    while i <len(klinedata10): #计算10日均线
        closesum=closesum+klinedata10[i].close
        #print "Day "+str(i)+str(klinedata10[i].close)+" date"+str(klinedata10[i].tradedate)
        
        i+=1
        
    ma10Minclose=closesum/10
    print "10日均线为："+str(ma10Minclose)
    
    if price5min > ma5Minclose and g.balancesingal==1 and g.longlock==0 :
        #5分钟收盘高于5日均线买入
        print "15分钟收盘高于5日均线买入:买开-------------------------------"
        if g.longlock==0 and dyndata.now>0.0:
            context.myacc.InsertOrder(g.code, BSType.BuyOpen, dyndata.now+2, g.tradevolume) #买开
        if g.shortholdingpos>0 and dyndata.now>0.0:
            print "有空头持仓，开始买平---------------------------"
            context.myacc.InsertOrder(g.code, BSType.BuyClose, dyndata.now+2, g.shortholdingpos)#买平
        
    elif price5min< ma10Minclose and len(g.pos)>0 and g.balancesingal==1 and g.shortlock==0:
        # 有持仓时，如果5分钟收盘，低于10日均线卖出平仓
        if g.longholdingpos>0 and dyndata.now>0.0:
            
            print "有多头持仓，开始卖平------------------------"+str(g.longholdingpos)
            
            context.myacc.InsertOrder(g.code, BSType.SellClose, dyndata.now-4, g.longholdingpos)#卖平
            context.myacc.InsertOrder(g.code, BSType.SellCloseToday, dyndata.now-4, g.longholdingpos)
        if g.shortlock==0 and dyndata.now>0.0:
            print "15分钟收盘价低于10日均线，开始卖开-------------------------------------"
            context.myacc.InsertOrder(g.code, BSType.SellOpen, dyndata.now-4, g.tradevolume) #卖开
        #context.myacc.InsertOrder(g.code, BSType.SellCloseToday, dyndata.now-4, g.holdingpos)        
    #计算均线
#     MA = GetIndicator("MA",code,params=(5,10),bar_type = BarType.Day)
#     MA1 = MA["MA(5)"]
#     MA2 = MA["MA(10)"]
#     if len(MA2)<2:
#         return
#     #ma1上穿ma2时买入螺纹主力1手
#     elif MA1[-1] >= MA2[-1] and MA1[-2]<MA2[-2]:
#         QuickInsertOrder(context.myacc,g.code,'buy','open',dyndata.now,1)
#     #ma1下穿ma2时卖出平仓
#     elif MA1[-1] <= MA2[-1] and MA1[-2]>MA2[-2]:
def OnExchangeClose(context, accountname, exchangecode, productcode):
    
    Currenttradingtime=GetCurrentTime()#取当前时间

    CurrentDay=GetCurrentTime() 
    
    
    #只在15：00 和 23：30收盘后对行情进行退订
    if exchangecode=="DCE" and ((Currenttradingtime>=GetCurrentDayTime(CurrentDay,14,59,59) and Currenttradingtime<GetCurrentDayTime(CurrentDay,15,31,59)) or (Currenttradingtime>=GetCurrentDayTime(CurrentDay,23,25,59) and Currenttradingtime<GetCurrentDayTime(CurrentDay,23,35,59)) ) :
        UnsubscribeBar(g.code, BarType.Day)
        UnsubscribeBar(g.code, BarType.Min15)
        print "unsub on market close at "+str(Currenttradingtime)+"contract "+str(g.code)
    #         QuickInsertOrder(context.myacc,g.code,'sell','close',dyndata.now,1)
def OnTradeDeal(context, AccountName, trade) :
    #TR = context.accounts["回测期货"].GetTradeDetail(trade.id, trade.bstype.BuySellFlag)
    print "------------OnTradeDeal查询------------"
    print "成交合约："+str(trade.contract)
    print '成交价格:' + str(trade.price)
    print "委托编号："+str(trade.orderid)
    print "成交编号 ："+str(trade.id)
    option = PBObj()
    g.pos = context.accounts[g.accountname].GetPositions(option)
    g.longholdingpos=0
    g.shortholdingpos=0
    if len(g.pos)>0:
        
        print "开始盘中持仓检查"
        for i in g.pos:
            if i.contract==g.code and i.availvolume>0 and i.bstype.BuySellFlag=="0" :#检查多头持仓
                g.longholdingpos=i.availvolume #g.holdingpos+i.availvolume
                print "已经成交多头 "+str(g.longholdingpos)
                if i.availvolume>=g.tradevolume:
                    g.longlock=1 #在多头开仓完全开仓后，不再允许开仓
            if i.contract==g.code and i.availvolume>0 and i.bstype.BuySellFlag=="1" :#检查多头持仓
                g.shortholdingpos=i.availvolume #g.holdingpos+i.availvolume
                print "已经成交空头 "+str(g.shortholdingpos)
                if i.availvolume>=g.tradevolume:
                    g.shortlock=1 #在多头开仓完全开仓后，不再允许开仓                    
                
                
    else:
        print "盘中持仓为0，仓位已经全部平仓"
        g.longlock=0
        g.shortlock=0